Dr Rohit Rahi

This course is available on the Global MSc in Management, MSc in Accounting and Finance, MSc in Econometrics and Mathematical Economics, MSc in Finance and Risk, MSc in Financial Mathematics, MSc in Financial Statistics, MSc in Financial Statistics (Research), MSc in Mathematics and Computation and MSc in Quantitative Methods for Risk Management. This course is available with permission as an outside option to students on other programmes where regulations permit. This course uses controlled access as part of the course selection process. For information on controlled access courses, including eligibility, application processes, deadlines, and departmental contact details, please refer to the Controlled Access Courses webpage.

All students on a programme listed above that meet the availability criteria will be given a place. The course is not capped.

Please contact finance.teachingmanager@lse.ac.uk with any queries.

Global MSc in Management ('Accounting and Finance' and 'Finance' concentrations only).

This course does not permit auditing students

This is an advanced course. Students will be expected to have a good grasp of probability theory and multivariate calculus. Prior knowledge of stochastic calculus is not required; the necessary tools will be introduced as part of the course.

The course provides a thorough grounding in the theory of derivatives pricing and hedging. Both discrete-time and continuous-time models will be covered, including a comprehensive treatment of the Black-Scholes model. A special feature of the course is its emphasis on the modern theory of no-arbitrage pricing using martingale methods. These methods will be applied to the pricing of equity and currency options, forwards and futures, and interest rate derivatives. The uses of derivatives in hedging and risk management will be discussed as well.

30 hours of seminars in the Winter Term.

This course is taught in the interactive lecturing format. There is no distinction between lectures and classes/seminars; there are “sessions” only, and the pedagogical approach in each session is interactive.

Exercises will be discussed in class each week. Students will be expected to make positive contributions to class discussion.

Teaching notes will be distributed. No one book covers the entire course, but the following is an excellent reference: John C Hull, Options, Futures and Other Derivatives.

Exam (100%), duration: 120 Minutes, reading time: 15 minutes in the Spring exam period.